TSM Options History — June 2017

In June 2017, TSM traded between $34.92 and $36.83. ATM implied volatility averaged 21.9%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 5.1% (HV 20d: 16.8%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 4.41.

Notable Days

  • 2017-06-23: Highest Volume — 24,629 contracts
  • 2017-06-12: Largest IV spike — 40.1% change
  • 2017-06-12: Highest IV Rank — 40.8%
  • 2017-06-27: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.93$34.92$36.83$35.85$35.01
Max Pain$35.55$34.00$36.00$34.00$36.00
ATM IV21.9%15.1%26.9%15.8%25.4%
Expected Move6.6%4.5%7.6%4.5%7.3%
HV 20d16.8%11.6%21.2%12.9%20.1%
HV 60d14.5%13.2%16.0%13.7%16.0%
IV Rank24.1%1.6%40.8%3.9%35.7%
IV Percentile52.6%0.8%84.1%2.4%80.6%
Term Structure-0.3%-2.6%4.2%2.7%-1.4%
VWIV24.4%14.8%38.6%14.8%26.0%
Skew 25d4.2%1.5%7.0%2.6%3.9%
Skew 10d9.2%6.1%13.5%7.2%7.5%
Call IV 25d21.0%15.2%26.0%15.5%24.2%
Put IV 25d25.2%16.7%28.5%18.2%28.1%
Bid-Ask Spread %24.2314.0752.6224.2315.67
Gamma HHI0.300.210.430.330.28
Net GEX-740.3K-2.8M1.1M1.1M-2.8M
Net DEX1.2M-26.5M37.5M-21.3M37.1M
Net VEX-214.5K-294.8K-133.2K-138.9K-286.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.410.4113.665.211.27
Total Volume8,637.8643,97524,6294,6824,420
Total OI47,945.22729,24659,61529,24659,615

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$35.85$34.0015.8%4.5%12.9%3.9%14.8%2.6%2.7%1.1M-21.3M-138.9K5.2124.237543,92813,47715,769
2017-06-02$36.21$34.0015.7%4.5%13.0%3.4%15.7%1.5%4.2%1.1M-23.9M-139.2K4.4819.909004,03313,61418,411
2017-06-05$36.43$34.0017.4%6.0%12.9%9.3%20.8%3.6%-0.9%1.1M-26.5M-133.2K2.4221.101,8784,54413,76018,569
2017-06-06$36.46$35.0018.1%6.4%12.0%11.5%23.0%3.7%-2.6%395.6K-20.0M-158.6K7.4229.091,1778,72814,54722,671
2017-06-07$36.48$35.0018.4%6.4%11.6%12.7%21.8%3.4%-2.4%269.3K-20.2M-161.9K5.0421.131,5597,85614,93329,552
2017-06-08$36.83$35.0015.1%6.0%11.9%1.6%22.5%4.6%0.5%419.0K-24.7M-160.8K8.1520.079637,85215,49929,710
2017-06-09$35.66$35.0019.2%6.8%17.0%15.2%25.2%4.6%-0.7%555.6K-10.7M-168.6K13.6652.621,08814,86415,58529,763
2017-06-12$35.16$36.0026.9%7.1%17.6%40.8%26.6%4.7%-1.1%-694.6K11.0M-194.2K12.6934.6498912,54915,69536,625
2017-06-13$35.53$36.0021.1%6.8%17.8%21.6%22.7%4.3%-0.0%-384.0K2.0M-191.6K0.8321.284,2673,54416,04435,825
2017-06-14$35.56$36.0023.4%6.7%17.8%29.0%24.8%4.8%-0.6%-20.6K-858.7K-205.5K3.1851.501,0533,35018,63336,077
2017-06-15$35.38$36.0023.9%6.9%17.1%31.0%25.2%5.1%-0.7%-58.7K2.2M-205.1K3.5720.578703,10518,79236,519
2017-06-16$35.86$36.0023.2%6.6%17.4%28.4%24.9%4.2%0.6%-157.5K-5.2M-206.9K1.9417.962,4044,65618,79436,814
2017-06-19$36.17$36.0023.8%6.8%17.4%30.7%25.4%5.7%-0.9%-966.1K419.5K-206.6K1.2116.551,8442,23215,56224,751
2017-06-20$36.18$36.0023.3%6.7%17.3%28.9%24.4%5.5%0.4%-880.4K-868.9K-208.5K3.8919.311,7926,96316,34125,165
2017-06-21$36.74$36.0023.3%6.7%18.0%28.9%26.3%4.8%-0.3%-1.5M1.4M-249.9K11.0214.0793110,26216,41030,418
2017-06-22$36.69$36.0023.7%6.8%18.0%30.1%25.8%6.2%0.1%-1.8M6.6M-263.3K3.8520.982,5589,85816,46032,955
2017-06-23$36.74$36.0023.0%6.6%18.0%27.8%38.6%7.0%0.5%-2.3M10.5M-287.9K0.4134.7617,4597,17018,15636,314
2017-06-26$36.10$36.0022.5%6.5%19.2%26.2%23.7%4.2%-0.8%-2.0M8.7M-281.6K0.6817.073,3712,30818,34737,092
2017-06-27$35.19$36.0026.4%7.6%21.2%39.1%24.7%3.5%-1.7%-2.5M32.7M-290.0K1.0619.873,3003,48617,81937,952
2017-06-28$35.30$36.0025.6%7.3%20.8%36.4%25.8%3.2%-1.4%-2.6M31.0M-294.8K2.9815.752,3817,09218,44339,332
2017-06-29$34.92$36.0026.3%7.5%20.5%38.6%28.1%1.8%-1.0%-2.5M37.5M-284.8K2.1024.881,8403,85518,56239,423
2017-06-30$35.01$36.0025.4%7.3%20.1%35.7%26.0%3.9%-1.4%-2.8M37.1M-286.2K1.2715.671,9502,47018,60941,006